That's where I was looking and I'm using that but it's not giving me a link. I guess I must be putting it in the wrong place.
I replaced the comment_text() function in the comment.php template.
It shows the excerpt but no link, that way.

If i put it in the page.php template instead of comments_template()
it doesn't show anything.

Am I right thinking that comment_excerpt() should provide a link by itself? It doesn't work like that for me? What am I doing wrong?
Is it wrong to replace it for comment_text() in the comments template?
I saw some code where someone put <?php comment_excerpt(); ?><?php comment_text(); ?> one after the other. It didn't make much sense to me but I tried and it just displays the whole text of the comment after the excerpt of the comment. Not good.

Can anybody help me? I'm afraid I don't now enough about programing to figure out what's happening here.

Nagore, I had this same problem, I could find plenty of tags for comment id or comment excerpt, but nothing for a 'comment link' or 'comment url'.
here's something i put together for a page with a list of posts and a list of latest comment for each post; there is a comment excerpt and a link to that comment on the post's page.